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Practical Issues in the Analysis of Univariate GARCH Models

  • Zivot E
Springer Berlin Heidelberg, (2009), 113-155
DOI: 10.1007/978-3-540-71297-8_5
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Abstract

This paper gives a tour through the empirical analysis of univariate GARCH models for financial time series with stops along the way to discuss various prac- tical issues associated with model specification, estimation, diagnostic evaluation and forecasting.

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APA

Zivot, E. (2009). Practical Issues in the Analysis of Univariate GARCH Models. In Handbook of Financial Time Series (pp. 113–155). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_5

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